A NEW HYBRID PRP-MMSIS CONJUGATE GRADIENT METHOD AND ITS APPLICATION IN PORTOFOLIO SELECTION

In this paper, we propose a new hybrid coefficient of conjugate gradient method (CG) for solving unconstrained optimization model. The new coefficient is combination of part the MMSIS (Malik et.al, 2020) and PRP (Polak, Ribi'ere \& Polyak, 1969) coefficients. Under exact line search, the search direction of new method satisfies the sufficient descent condition and based on certain assumption, we establish the global convergence properties....